EP1812897A2 - Systeme et procede de compensations asymetriques dans un systeme de gestion de risques - Google Patents

Systeme et procede de compensations asymetriques dans un systeme de gestion de risques

Info

Publication number
EP1812897A2
EP1812897A2 EP05793557A EP05793557A EP1812897A2 EP 1812897 A2 EP1812897 A2 EP 1812897A2 EP 05793557 A EP05793557 A EP 05793557A EP 05793557 A EP05793557 A EP 05793557A EP 1812897 A2 EP1812897 A2 EP 1812897A2
Authority
EP
European Patent Office
Prior art keywords
risk
spread
delta
portfolio
span
Prior art date
Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
Withdrawn
Application number
EP05793557A
Other languages
German (de)
English (en)
Other versions
EP1812897A4 (fr
Inventor
Dmitriy Glinberg
Tae S. Yoo
Dale A. Michaels
Edward Gogol
Current Assignee (The listed assignees may be inaccurate. Google has not performed a legal analysis and makes no representation or warranty as to the accuracy of the list.)
CME Group Inc
Original Assignee
Chicago Mercantile Exchange Inc
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Chicago Mercantile Exchange Inc filed Critical Chicago Mercantile Exchange Inc
Publication of EP1812897A2 publication Critical patent/EP1812897A2/fr
Publication of EP1812897A4 publication Critical patent/EP1812897A4/fr
Withdrawn legal-status Critical Current

Links

Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/08—Insurance

Abstract

L'invention concerne un système et un procédé d'utilisation de compensations asymétriques pour des produits dans un système d'analyse de gestion de risques. Les systèmes classiques attribuent des compensations asymétriques pour des produits, c'est-à-dire si deux produits présentent une corrélation de 80 %, on attribue à chacun une compensation de 80 % par rapport à l'autre. Il est cependant préférable de permettre des compensations asymétriques. Dans le système et le procédé de l'invention, lorsque deux produits présentent une corrélation de 80 %, on peut attribuer à l'un une compensation de 75 % et à l'autre une compensation de 80 %. Il existe de nombreuses raisons de varier la compensation entre les produits. La variation de la compensation peut réfléchir une asymétrie du risque dans un des produits, par exemple commercialisé sur un marché non liquide ou dans un lieu peu indiqué. La variation de la compensation peut corriger un déséquilibre des crédits dû à des charges spéciales de diffusion interne.
EP05793557A 2004-09-10 2005-08-31 Systeme et procede de compensations asymetriques dans un systeme de gestion de risques Withdrawn EP1812897A4 (fr)

Applications Claiming Priority (3)

Application Number Priority Date Filing Date Title
US60873604P 2004-09-10 2004-09-10
US11/030,833 US7509275B2 (en) 2004-09-10 2005-01-07 System and method for asymmetric offsets in a risk management system
PCT/US2005/031136 WO2006031453A2 (fr) 2004-09-10 2005-08-31 Systeme et procede de compensations asymetriques dans un systeme de gestion de risques

Publications (2)

Publication Number Publication Date
EP1812897A2 true EP1812897A2 (fr) 2007-08-01
EP1812897A4 EP1812897A4 (fr) 2009-05-13

Family

ID=36035274

Family Applications (1)

Application Number Title Priority Date Filing Date
EP05793557A Withdrawn EP1812897A4 (fr) 2004-09-10 2005-08-31 Systeme et procede de compensations asymetriques dans un systeme de gestion de risques

Country Status (5)

Country Link
US (7) US7509275B2 (fr)
EP (1) EP1812897A4 (fr)
JP (1) JP5057978B2 (fr)
CA (1) CA2578095A1 (fr)
WO (1) WO2006031453A2 (fr)

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Also Published As

Publication number Publication date
JP2008512777A (ja) 2008-04-24
US20120296850A1 (en) 2012-11-22
WO2006031453A3 (fr) 2007-01-18
US8073754B2 (en) 2011-12-06
US7509275B2 (en) 2009-03-24
WO2006031453A2 (fr) 2006-03-23
US8249973B2 (en) 2012-08-21
US20180293653A1 (en) 2018-10-11
US20090076982A1 (en) 2009-03-19
US11138660B2 (en) 2021-10-05
US20120047091A1 (en) 2012-02-23
US10026123B2 (en) 2018-07-17
EP1812897A4 (fr) 2009-05-13
CA2578095A1 (fr) 2006-03-23
JP5057978B2 (ja) 2012-10-24
US20060059066A1 (en) 2006-03-16
US20140032390A1 (en) 2014-01-30
US8577774B2 (en) 2013-11-05
US20210398215A1 (en) 2021-12-23

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